Central Bank Research Hub - JEL classification G13: Contingent Pricing; Futures Pricing

Title Author(s)

Risk premia and seasonality in commodity futures

Bank of England Working papers [View] (Paper: swp591, 15.04.2016)

JEL: E43, G13, Q2, Q40

Term Structures of Asset Prices and Returns

New York Fed Staff reports [View] (Paper: 774, 08.04.2016)

JEL: G12, G13

Commodities, Financialization, and Heterogeneous Agents

Bank of Lithuania Working Papers [View] (Paper: wp2016-25, 26.03.2016)

JEL: E23, G12, G13, I30, Q11

Modelling Danish Government Bond Yields in a Low-Rate Environment

National Bank of Denmark (Danmarks Nationalbank) Working papers [View] (Paper: DNWP106, 24.02.2016)

JEL: C32, C53, G13

Inflation forecasts: Are market-based and survey-based measures informative?

European Central Bank Working papers [View] (Paper: 1865, 06.11.2015)

JEL: E31, E37, G13

Stabilising house prices: the role of housing futures trading

Bank of England Working papers [View] (Paper: swp559, 09.10.2015)

JEL: G13, R21

Volatility contagion: new evidence from market pricing of volatility risk

Bank of England Working papers [View] (Paper: swp552, 25.09.2015)

JEL: C58, F36, G12, G13, G15

Convertible bonds and bank risk-taking

Netherlands Bank DNB Working Papers [View] (Paper: 480, 14.08.2015)

JEL: G13, G21, G28

The Term Structure of the Price of Variance Risk

New York Fed Staff reports [View] (Paper: 736, 05.08.2015)

JEL: G12, G13

Term Structure of Interest Rates with Short-run and Long-run Risks

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2015-095, 30.07.2015)

JEL: G12, G13, G14

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